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20132026
most citedHigh-order compact finite difference scheme for option pricing in stochastic volatility models

75 citations · 453 across the 27 of their papers we have counts for

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6 papers · 1 filter

math.NA2017★ 37 cited

A Lagrangian scheme for the solution of nonlinear diffusion equations using moving simplex meshes

José A. Carrillo, Bertram Düring, Daniel Matthes +1

A Lagrangian numerical scheme for solving nonlinear degenerate Fokker-Planck equations in space dimensions is presented. It applies to a large class of nonlinear diffusion…

math.NA2015

A higher-order gradient flow scheme for a singular one-dimensional diffusion equation

Bertram Düring, Philipp Fuchs, Ansgar Jüngel

A nonlinear diffusion equation, interpreted as a Wasserstein gradient flow, is numerically solved in one space dimension using a higher-order minimizing movement scheme based on th…

math.NA2015★ 41 cited

High-order compact schemes for parabolic problems with mixed derivatives in multiple space dimensions

Bertram Düring, Christof Heuer

We present a high-order compact finite difference approach for a class of parabolic partial differential equations with time and space dependent coefficients as well as with mixed…

math.NA2015★ 17 cited

High-order ADI schemes for convection-diffusion equations with mixed derivative terms

Bertram Düring, Michel Fournié, Alain Rigal

We present new high-order Alternating Direction Implicit (ADI) schemes for the numerical solution of initial-boundary value problems for convection-diffusion equations with mixed d…

math.NA2013

A primal-dual approach for a total variation Wasserstein flow

Martin Benning, Luca Calatroni, Bertram Düring +1

We consider a nonlinear fourth-order diffusion equation that arises in denoising of image densities. We propose an implicit time-stepping scheme that employs a primal-dual method f…

math.NA2013★ 12 cited

ADI splitting schemes for a fourth-order nonlinear partial differential equation from image processing

Luca Calatroni, Bertram Düring, Carola-Bibiane Schönlieb

We present directional operator splitting schemes for the numerical solution of a fourth-order, nonlinear partial differential evolution equation which arises in image processing.…